Paul du Preez

Johannesburg Securities Exchange

Quantitative Analyst

United States

http://www.jse.co.za

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Current Exposure Method for CCP's Under Basel III

Risk Governance and Control: Financial Markets & Institutions, Volume 3, 2013
Posted: 11 Apr 2013 Last Revised: 01 Jul 2013
Antonie Kotze and Paul du Preez
Financial Chaos Theory and Johannesburg Securities Exchange

Abstract:

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Exposure at default, CEM, Current Exposure Method, Value at Risk, VaR, Counterparty Credit Risk, CCR, Central Counterparty, CCP, Basel, Basel III, Internal Model Methods